| Article ID: | iaor19961868 |
| Country: | Germany |
| Volume: | 42 |
| Issue: | 6 |
| Start Page Number: | 395 |
| End Page Number: | 410 |
| Publication Date: | Nov 1995 |
| Journal: | Metrika |
| Authors: | Stute W. |
The paper considers a linear model with autoregressive error structure. It is shown that with probability one the distribution of the two-stage GLS estimator admits a bootstrap approximation. In a simulation study it is demonstrated that the bootstrap outperforms the normal approximation if the innovation variables are heavily correlated.